I found some pretty cheap saffron at world market (http://www.worldmarket.com/home.jsp) ... if you have one nearby, I would check them out, they have some other interesting food stuffs as well (and a ton of other stuff)
Don't know any online places though...

My favorite source is San Francisco Herb Co. Available online or in person at their retail store on 14th Street in SF. Currently $3.55 per gram (about 2 tsp) or $69.80 per ounce. And I've used it. Good stuff unlike, say, cheapo Mexican saffron.